Well, Im apparently in the minority here. IMHO, GURPS is the most horribly designed game ever imagined.
That said, I've only played it once. All reports from the gaming community that I was involved with were that the GM I played with was extremely good and we had similar styles -- which leads me to believe that it was the system, not the GM that stank. This one session that I played in was several orders of magnitude more painful, frustrating, and boring than the time we tried to do the original ToEE with 24 players, half of whom were drunk out of their minds (my second worst gaming experience -- it took us two hours to make it from "Okay, let's head to the moathouse" to knocking on the door, without any encounters of any sort).
I inherited a GURPS rulebook a few months ago from someone who was getting completely out of gaming for personal reasons. I've read a most of the non-powers/magic chargen rules with the idea that maybe I'd give it another try. So far, the rules have been lackluster, at best. I just can't see anything redeeming or interesting in them. And this from someone who loves to learn new systems, "just 'cause."
As far as what I like to play, I tend to believe that a system has a significant impact on the "feel" of a game, so I have a whole slew that I like.
I use HERO as a general fall-back. If I was allowed only one system to play for the rest of my life, it would be either HERO or d20; probably HERO. Why? It scales well for pretty much anything from nasty-gritty to cosmic supers. Our group has used it for high-fantasy, low fantasy, wierd fantasy, espianage, supers, dark supers, Cthulhu-esque horror, X-Files type horror, White Wolf type horror, sci-fi, cyberpunk, and some odd combos of the above. It has done great for all of them.
I do tend to use genre speciafic systems, though, when they're available.
The one I've played most, besides the various flavors of D&D, is Storyteller (White Wolf). I ran a Vampire game that lasted 3-4 years and a Mage game that lasted 2-3 years. I've also played in several long term Storyteller games. Nice setting. The system leaves a bit to be desired, though. It actually accomplishes what it sets out to do rather well -- facilitate fast, rules-light play in a mood-intense setting. From a pure mechanics standpoint, though, my group has termed Storyteller "The worst system that remains playable." Take the comment as intended, though. Like I said, other than D&D/fantasy, Storyteller/WoD is the game in which I've probably played the most.
Shadowrun is also a favorite of mine. I haven't played it in 10+ years, though because it hasn't appealed to the groups I've gamed with. Typically, I have a real disdain of tech mixed with magic or magic-as-tech. Shadowrun is the only setting that I've ever seen than really does it acceptably well.
Paranoia is always good for some laughs.
Rolemaster has been used as a diversion a few times, as has it's first cousin, MERP.
I was in a ShatterZone game for about a year. That was really fun, but I can't find a copy of it anywhere -- suppliments, but no core rules.
A game I think has a lot of potential, but which appears too complex to most people is Aria. I've run a couple of short-lived games of that, but not everyone fits the style for which it was designed -- think D&D from an archeological/anthropological view.
Back to GURPS, though. I'd rank it as somewhat less pleasant than open heart surgery, cracked chest and all, sans anesthesia. If you want a good universal system, use HERO.